ON A MECHANICAL APPROACH TO A CLASS OF NON-AUTONOMOUS LINEAR SECOND ORDER STOCHASTIC DIFFERENTIAL EQUATIONS

Abstract

A class of non-autonomous linear second order stochastic differential equations is investigated by a technique based on mechanical approach. The system response is separated into the deterministic and random parts governed by two uncoupled differential equations which can be solved exactly. Mean-square responses of the system are compared with results obtained by the stochastic averaging method and Monte Carlo simulation.